Peter Reinhard Hansen (born June 15, 1968) is the Henry A. Latané Distinguished Professor of Economics at the

University of North Carolina at Chapel Hill The University of North Carolina at Chapel Hill (UNC, UNC–Chapel Hill, or simply Carolina) is a public university, public research university in Chapel Hill, North Carolina, United States. Chartered in 1789, the university first began enrolli ...

. He has previously taught at

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Stanford Graduate School of Business The Stanford Graduate School of Business is the Postgraduate education, graduate business school of Stanford University, a Private university, private research university in Stanford, California. For several years it has been the most selective ...

Stanford University Leland Stanford Junior University, commonly referred to as Stanford University, is a Private university, private research university in Stanford, California, United States. It was founded in 1885 by railroad magnate Leland Stanford (the eighth ...

, and the

European University Institute The European University Institute (EUI) is an international postgraduate and post-doctoral research-intensive university and an intergovernmental organisation with juridical personality, established by its founding member states to contribu ...

Biography

Hansen was born in

Sorø Sorø () is a town in Sorø municipality on the island of Zealand (Denmark), Zealand in east Denmark with a population of 8,433 (2025).

Denmark Denmark is a Nordic countries, Nordic country in Northern Europe. It is the metropole and most populous constituent of the Kingdom of Denmark,, . also known as the Danish Realm, a constitutionally unitary state that includes the Autonomous a ...

, where he went to

Sorø Akademi Sorø () is a town in Sorø municipality on the island of Zealand (Denmark), Zealand in east Denmark with a population of 8,433 (2025).

. He studied mathematics and economics at the University of Copenhagen (M.sc. 1995) under the supervision of

Søren Johansen Søren Johansen (born 6 November 1939) is a Danish statistician and econometrician who is known for his contributions to the theory of cointegration. He is currently a professor at the Department of Economics, University of Copenhagen and in the ...

and from 1996 he studied economics

University of California, San Diego The University of California, San Diego (UC San Diego in communications material, formerly and colloquially UCSD) is a public university, public Land-grant university, land-grant research university in San Diego, California, United States. Es ...

(Ph.D. 2000) supervised by James D. Hamilton. Hansen is known for his research on volatility,

forecasting Forecasting is the process of making predictions based on past and present data. Later these can be compared with what actually happens. For example, a company might Estimation, estimate their revenue in the next year, then compare it against the ...

and

cointegration In econometrics, cointegration is a statistical property describing a long-term, stable relationship between two or more time series variables, even if those variables themselves are individually non-stationary (i.e., they have trends). This means ...

, including the "test for superior predictive ability", which can be used to test whether a benchmark forecast is significantly outperformed by competing forecasts, the Model Confidence Set. He has, in collaboration with

Ole E. Barndorff-Nielsen Ole Eiler Barndorff-Nielsen (18 March, 1935 – 26 June, 2022) was a Danish statistician who has contributed to many areas of statistical science. Education and career He was born in Copenhagen, and became interested in statistics when, as a ...

, Asger Lunde, and

Neil Shephard Neil Shephard (born 8 October 1964), FBA, is an econometrician, currently Frank B. Baird Jr., Professor of Science in the Department of Economics and the Department of Statistics at Harvard University. His most well known contributions are ...

, developed the

realized kernel The realized kernel (RK) is an estimator of volatility. The estimator is typically computed with high frequency return data, such as second-by-second returns. Unlike the realized variance Realized variance or realised variance (RV, see spelling dif ...

estimator that can estimate the

quadratic variation In mathematics, quadratic variation is used in the analysis of stochastic processes such as Brownian motion and other martingales. Quadratic variation is just one kind of variation of a process. Definition Suppose that X_t is a real-valued st ...

in an environment with noisy high-frequency data, such as financial tick-by-tick data. He co-authored the book "Workbook on Cointegration" with

Selected writings

* Hansen, P.R., (2005), "Test for Superior Predictive Ability", Journal of Business and Economic Statistics. * Hansen, P.R., A. Lunde (2006), "Realized Variance and Market Microstructure Noise”, Journal of Business and Economic Statistics. Vol. 24, pp. 127–218. (The 2005 Invited Address with Discussions and Rejoinder). * Hansen, P.R., A. Lunde (2006), "Consistent Ranking of Volatility Models", Journal of Econometrics, Vol. 131, pp. 97–121. * Barndorff-Nielsen, O.E., P.R. Hansen, A. Lunde, N. Shephard (2011), "Subsampled realised kernels", Journal of Econometrics, Vol. 160, Issue 1, January 2011, pp. 204–219 * Barndorff-Nielsen, O.E., P.R. Hansen, A. Lunde, N. Shephard (2008), "Designing realised kernels to measure the ex-post variation of equity prices in the presence of noise", Econometrica. Vol. 76, pp. 1481–1536.

References

External links

Peter R. Hansen
at The Department of Economics at

UNC Chapel Hill The University of North Carolina at Chapel Hill (UNC, UNC–Chapel Hill, or simply Carolina) is a public research university in Chapel Hill, North Carolina, United States. Chartered in 1789, the university first began enrolling students in 1795 ...

The Henry A. Latané Distinguished Professorship in EconomicsPeter Reinhard Hansen
at

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{{DEFAULTSORT:Hansen, Peter Reinhard 1968 births Living people Danish economists Econometricians People from Sorø Municipality Brown University faculty Stanford University faculty University of California, San Diego alumni University of Copenhagen alumni People educated at Sorø Academy